Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.3566 |
| Annualized Std Dev | 0.5183 |
| Annualized Sharpe (Rf=0%) | 0.6879 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2953.0000 |
| NAs | 1.0000 |
| Minimum | -0.3495 |
| Quartile 1 | -0.0102 |
| Median | 0.0022 |
| Arithmetic Mean | 0.0018 |
| Geometric Mean | 0.0012 |
| Quartile 3 | 0.0167 |
| Maximum | 0.2797 |
| SE Mean | 0.0006 |
| LCL Mean (0.95) | 0.0006 |
| UCL Mean (0.95) | 0.0029 |
| Variance | 0.0011 |
| Stdev | 0.0327 |
| Skewness | -0.5934 |
| Kurtosis | 14.3856 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0242 |
| Gain Deviation | 0.0227 |
| Loss Deviation | 0.0276 |
| Downside Deviation (MAR=210%) | 0.0273 |
| Downside Deviation (Rf=0%) | 0.0234 |
| Downside Deviation (0%) | 0.0234 |
| Maximum Drawdown | 0.7682 |
| Historical VaR (95%) | -0.0493 |
| Historical ES (95%) | -0.0806 |
| Modified VaR (95%) | -0.0478 |
| Modified ES (95%) | -0.0891 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-02-20 | 2020-03-23 | 2021-01-08 | -0.7682 | 225 | 23 | 202 |
| 2011-05-02 | 2011-10-03 | 2012-04-02 | -0.5176 | 233 | 108 | 125 |
| 2018-09-21 | 2018-12-24 | 2019-07-12 | -0.5032 | 202 | 65 | 137 |
| 2010-04-26 | 2010-07-02 | 2010-12-10 | -0.4295 | 161 | 49 | 112 |
| 2015-05-22 | 2016-02-11 | 2016-07-18 | -0.3943 | 291 | 183 | 108 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | 1.1 | 0.3 | -6.8 | -7.6 | -8.5 | 3.3 | -2.8 | -19.8 |
| 2010 | 4.7 | 3 | 2.1 | -5.1 | -4.8 | -0.6 | -0.1 | 8.6 | 1.3 | 0.1 | 6.5 | 0 | 15.9 |
| 2011 | 4.8 | -5 | 1.1 | 1 | -6.6 | 4.5 | -1.4 | -2.8 | -7.1 | -8 | -0.2 | -1.3 | -20 |
| 2012 | 2.7 | 1.8 | 0.9 | 1.9 | -7.6 | 7.6 | -0.8 | 1.3 | 0.7 | 3.4 | -0.3 | 5.5 | 17.6 |
| 2013 | 3.1 | 0.9 | -1 | -2.7 | -4.4 | 2.3 | 3.6 | -1.2 | 2.5 | 0.8 | -0.2 | 1.4 | 4.9 |
| 2014 | -1.9 | 0.6 | 2 | 0 | 0.4 | 2 | -1 | 0.8 | -4 | 3.3 | -2 | -3 | -3.1 |
| 2015 | -3.9 | -1 | -1 | 3.2 | 0.6 | 2.2 | -0.4 | -8.9 | 0.8 | -1.5 | 2.8 | -3 | -10.2 |
| 2016 | -0.3 | 7.4 | 1.9 | -1.6 | 0.6 | 0.7 | -0.2 | 0.1 | 2.3 | -2 | -1.2 | -1 | 6.4 |
| 2017 | 0.1 | 4 | -0.7 | 0.6 | 2.3 | 0.5 | 0.6 | 0.5 | 1 | 0.5 | -0.5 | -1 | 8.1 |
| 2018 | -1.4 | -4.1 | 4.2 | 0.6 | 3.2 | 0.3 | -0.4 | 0 | 1.1 | 3.1 | 2 | 2.7 | 11.6 |
| 2019 | 0.1 | 2 | 3.5 | -2.3 | -4.1 | 2.6 | -2.5 | -0.1 | -3.6 | 2.8 | -1 | 0.7 | -2.2 |
| 2020 | -5.4 | -0.7 | -13.4 | -8 | 1.3 | 1.8 | 2.4 | 2.9 | 1.9 | -3.2 | 3.3 | 1.6 | -15.8 |
| 2021 | 4.8 | 7.2 | -0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 11.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-06-25 2.41 SPY 92.1 0.0218 -0.0015 0.0269 0.108 -0.301 -0.26 -0.195 GLD 92.3 0.0094 0.0076
2 2009-06-26 2.40 SPY 91.8 -0.0026 -0.0022 0.0101 0.125 -0.284 -0.265 -0.193 GLD 92.3 -0.0002 0.0042
3 2009-06-29 2.47 SPY 92.7 0.0094 0.0383 0.0018 0.176 -0.273 -0.252 -0.183 GLD 92.0 -0.0027 0.0166
4 2009-06-30 2.41 SPY 92.0 -0.0081 0.0291 -0.0298 0.156 -0.282 -0.263 -0.193 GLD 91.2 -0.00930 0.00290
5 2009-07-01 2.43 SPY 92.3 0.0041 0.0245 -0.0266 0.139 -0.281 -0.274 -0.194 GLD 92.4 0.0133 0.0103
6 2009-07-02 2.23 SPY 89.8 -0.0273 -0.0247 -0.041 0.0765 -0.288 -0.294 -0.205 GLD 91.2 -0.0123 -0.0115
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
